The Northern Ireland international is believed to have been approached by the club to discuss signing a new deal at The Hawthorns.
"It is vital to keep Gaz," ESPN quotes Olsson as saying. "We have formed a good partnership over the last couple of seasons and when I signed my contract one of the big reasons was that I enjoy playing alongside Gaz so much.
"For me it is vital that we keep him. Continuity has been important, keeping players."
McAuley has 15 months remaining on his current deal with the Baggies.